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ISSN : 1226-0657

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Vol.24 No.4

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COMPARATIVE ANALYSIS ON MACHINE LEARNING MODELS FOR PREDICTING KOSPI200 INDEX RETURNS

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics / Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, (P)1226-0657; (E)2287-6081
2017, v.24 no.4, pp.211-226
https://doi.org/10.7468/jksmeb.2017.24.4.211
Gu, Bonsang
Song, Joonhyuk
Gu,, B. , & Song,, J. (2017). COMPARATIVE ANALYSIS ON MACHINE LEARNING MODELS FOR PREDICTING KOSPI200 INDEX RETURNS. Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, 24(4), 211-226, https://doi.org/10.7468/jksmeb.2017.24.4.211

Abstract

In this paper, machine learning models employed in various fields are discussed and applied to KOSPI200 stock index return forecasting. The results of hyperparameter analysis of the machine learning models are also reported and practical methods for each model are presented. As a result of the analysis, Support Vector Machine and Artificial Neural Network showed a better performance than k-Nearest Neighbor and Random Forest.

keywords
machine learning, support vector machine, artificial neural network, random forest, k-nearest neighbor

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics

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